# Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance), Article 378: Settlement/delivery risk

Extent: E+W+S+N.I.

In the case of transactions in which debt instruments, equities, foreign currencies and commodities excluding repurchase transactions and securities or commodities lending and securities or commodities borrowing are unsettled after their due delivery dates, an institution shall calculate the price difference to which it is exposed.
The price difference is calculated as the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the credit institution.
The institution shall multiply that price difference by the appropriate factor in the right column of the following Table 1 in order to calculate the institution's own funds requirement for settlement risk.
Table 1
Number of working days after due settlement date
(%)
5 — 15
8
16 — 30
50
31 — 45
75
46 or more
100

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Source: https://www.legislation.gov.uk/eur/2013/575/article/378 (the official version)
Page: https://openlegislation.uk/eu-regulation-2013-575/article-378
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.